In theory, the DropDownMenu is always closed when clicking somewhere outside. This does not work if you select text in a BocTextValue. This way the focus can be moved to an other control while the dropdown remains open.
This leads to other problems if an async postback is triggered while the dropdown is still open.
Additional info: The problem seems to occur only if the MouseDown event is fired inside of the textbox and the MouseUp event is fired outside (see animated gif above).